Rendering multi-layer EXR leaves small gaps between layers
This appears to be a problem with a misunderstanding as to how to handle alpha.

When pushing out alpha, raytracing engines use associated alpha, as only associated alpha represents both occlusion and emission.

As a result, the alpha in those subpixel seams must not be composited using the standard compositing operation, but rather one of the alternate over operations. Proper imaging tools such as Nuke offer the correct set of over functionality where anachronistic applications such as Photoshop do not. See for example, disjoint over.

When you have two pieces of geometry that share a subpixel but do not overlap, such as two angled bits of geometry that are perfectly flush with each other, the proper alpha combination amounts to an add. Do not use Photoshop's broken assumptions.

The best news is that this is purely the tip of the iceberg regarding Photoshop mishandling of proper EXR based work. Being display referred by design, it will fail miserably on many fronts including bit depth and proper scene referred data will be a nightmare.

See also this question which has more examples and a fleshed out solution with more depth.